Large and moderate deviation principles for recursive kernel density estimators defined by stochastic approximation method.

zbMATH Open1324.62029arXiv1301.6392MaRDI QIDQ5261759FDOQ5261759

Authors: Yousri Slaoui 

Publication date: 7 July 2015

Abstract: In this paper we prove large and moderate deviations principles for the recursive kernel estimators of a probability density function defined by the stochastic approximation algorithm introduced by Mokkadem et al. [2009. The stochastic approximation method for the estimation of a probability density. J. Statist. Plann. Inference 139, 2459-2478]. We show that the estimator constructed using the stepsize which minimize the variance of the class of the recursive estimators defined in Mokkadem et al. (2009) gives the same pointwise LDP and MDP as the Rosenblatt kernel estimator. We provide results both for the pointwise and the uniform deviations.

Full work available at URL: https://arxiv.org/abs/1301.6392

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zbMATH Keywords

density estimationstochastic approximation algorithmlarge and moderate deviations principles

Mathematics Subject Classification ID

Density estimation (62G07) Large deviations (60F10) Stochastic approximation (62L20)

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